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23
The Coordination Channel of Foreign Exchange Intervention: a Nonlinear Microstructural Analysis, in:
- European Economic Review,
, 2008
"... Abstract Taylor (1994, 1995) ..."
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Testing the Predictive Ability of Technical Analysis Using a New Stepwise Test without Data Snooping Bias
- Journal of Empirical Finance
, 2010
"... † † We thank the editor, Christian C. P. Wolff, and two anonymous referees for their useful comments and suggestions. We are grateful for the comments on early versions of this paper by Zongwu Cai, Stephen ..."
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† † We thank the editor, Christian C. P. Wolff, and two anonymous referees for their useful comments and suggestions. We are grateful for the comments on early versions of this paper by Zongwu Cai, Stephen
COMBINING THE FORECASTS IN THE ECB SURVEY OF PROFESSIONAL FORECASTERS CAN ANYTHING BEAT THE SIMPLE AVERAGE? 1
, 1277
"... combining the forecasts in the ecb survey of professional forecasters can anything beat the simple average? by Véronique Genre, ..."
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combining the forecasts in the ecb survey of professional forecasters can anything beat the simple average? by Véronique Genre,
The Profitability of Technical Analysis: A Review
, 2004
"... The purpose of this report is to review the evidence on the profitability of technical analysis. To achieve this purpose, the report comprehensively reviews survey, theoretical and empirical studies regarding technical trading strategies. We begin by overviewing survey studies that have directly inv ..."
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The purpose of this report is to review the evidence on the profitability of technical analysis. To achieve this purpose, the report comprehensively reviews survey, theoretical and empirical studies regarding technical trading strategies. We begin by overviewing survey studies that have directly investigated market participants ’ experience and views on technical analysis. The survey literature indicates that technical analysis has been widely used by market participants in futures markets and foreign exchange markets, and that about 30 % to 40 % of practitioners appear to believe that technical analysis is an important factor in determining price movement at shorter time horizons up to 6 months. Then we provide an overview of theoretical models that include implications about the profitability of technical analysis. Conventional efficient market theories, such as the martingale model and random walk models, rule out the possibility of technical trading profits in speculative markets, while relatively recent models such as noisy rational expectation models or behavioral models suggest that technical trading strategies may be profitable due to noise in the market or investors ’ irrational behavior. Finally, empirical studies are surveyed. In this report, the empirical literature is categorized into two
Economic Perspectives
- Proceedings from JICA Conference on Transitional Economies, Vienna, WIIW, 2000 Schumpeter J.: Capitalism, Socialism and Democracy. 1947 Sen A.: On Ethics and Economics
, 1995
"... nanoparticle properties p. 615INSIGHTS ..."
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Data Snooping and Market-Timing Rule Performance
"... We reassess the profitability of market-timing rules when controlling for data-snooping biases. For the first time, a comprehensive set of simple and complex market-timing rules is examined and tested for statistical significance, using the White (2000) “Reality Check ” and the Hansen (2005) SPA tes ..."
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We reassess the profitability of market-timing rules when controlling for data-snooping biases. For the first time, a comprehensive set of simple and complex market-timing rules is examined and tested for statistical significance, using the White (2000) “Reality Check ” and the Hansen (2005) SPA test. For the full sample period, we find that individual market-timing rules show significant outperformance when considered in isolation but that these results do not remain significant after correcting for data snooping. However, we find that during the subperiod from 1981 to 1994, certain complex rules indeed outperform a buy-and-hold strategy even after data-snooping correction is made. JEL classification: G11, G14.
An Algorithm for Testing the Efficient Market Hypothesis
, 2013
"... The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average Convergence Divergence (MACD), Relative Stren ..."
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The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average Convergence Divergence (MACD), Relative Strength Index (RSI) and Filter that gives buying and selling recommendations to investors. The algorithm optimizes the strategies by dynamically searching for parameters that improve profitability in the training period. The best sets of rules are then applied on the testing period. The results show inconsistency in finding a set of trading rules that performs well in both periods. Strategies that achieve very good returns in the training period show difficulty in returning positive results in the testing period, this being consistent with the efficient market hypothesis (EMH).
Beating the Benchmark- an Active Trading Strategy Based on Contrarian Trends and Jump
, 2006
"... Extreme price changes are identified in the stock market and related to jumps in the price process. After such extreme events, a reverting (also called contrarian) trend is examined. There is evidence that the initial price change is often an overreaction, caused by the psychology of market particip ..."
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Extreme price changes are identified in the stock market and related to jumps in the price process. After such extreme events, a reverting (also called contrarian) trend is examined. There is evidence that the initial price change is often an overreaction, caused by the psychology of market participants, and that the subsequent reversal corrects for the temporary inefficiencies in the market. Confirming the empirical findings by other studies, it is found that larger extreme price changes are followed by a stronger reversal effect. From a statistical analysis of the extreme events, a systematic trading strategy is formed. After an extreme price change, losing stocks are bought with the hopes of following a reverting trend. In the long run, probability is assumed to be in favor of the strategy, generating significant positive returns. Returns from trading are evaluated for both an estimation and validation period. Trad-ing performance is excellent during the estimation period, beating the defined benchmark. During validation, the active trading also generates promising results, outperforming the benchmark. It is however suspected that the nature of the extreme events change depend-ing on current market conditions. During strong positive market trends, the reverting trends are likely to be more significant.
A Service of zbw Leibniz-Informationszentrum Wirtschaft Leibniz Information Centre for Economics Can Macroeconomists Get Rich Forecasting Exchange Rates? Can Macroeconomists Get Rich Forecasting Exchange Rates? *
"... Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, ..."
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Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Abstract We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations help to improve over benchmark trading strategies for the exchange rate against the US dollar and the British pound, although the excess return per unit of deviation is limited. For the euro against the Swiss franc or the Japanese yen, no evidence of generalized improvement in profit measures over the benchmark is found. JEL codes: C53, F31, F37
Can Macroeconomists Get Rich Forecasting Exchange Rates?
"... Abstract We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accur ..."
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Abstract We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations help to improve over benchmark trading strategies for the exchange rate against the US dollar and the British pound, although the excess return per unit of deviation is limited. For the euro against the Swiss franc or the Japanese yen, no evidence of generalized improvement in profit measures over the benchmark is found. JEL codes: C53, F31, F37
